This common expression means to fully test something you need to experience it yourself or that the true value or quality of something can only be judged when it’s put to use.
But what the blazes does pudding have to do with anything?
The original (read: full or correct) expression is “the proof of the pudding is in the eating”. Now it makes much more sense. You can talk about how amazing the pudding is all day, but until you actually eat it, it doesn’t mean much. This expression is actually very old. There is actually a report of it being used as far back as the 14th century.
What of the word ‘proof’ though? We currently use the word proof as ‘the evidence that demonstrates a truth’, but this seems odd here. A little interesting fact is that a common usage of the word ‘proof’ was to test something. This clears up our little issue. We still see this usage in a few cases, as with ‘the exception that proves the rule’, ‘proofread’, ‘proving ground’, etc.